Returns

American mutual funds are scouring Europe for bargains, snapping up Dutch oil drillers, French drugmakers and Swiss food producers on speculation the region’s rally is just beginning as the U.S. bull market ages.

Many explanations have been given why the Newedge CTA Index has returned a disappointing 0.82% per annum over the past five years, but none have taken into consideration the impact of Libor rates on returns. When we do, the results are striking.